Journal of Financial and Quantitative Analysis Vol. 18 No. 4 1983
Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests
Abstract
Recently, the finance literature has included empirical analysis of consumption in asset pricing models based on the cross-equation restrictions implied by optimality of a representative agent's consumption and investment plan. These studies have required some specification of an aggregate utility function, and power (constant relative risk aversion) utility has been predominant. The present paper extends this body of research by including models with constant absolute, as well as constant relative, risk aversion.
- DOI
- 10.2307/2330943
- Volume
- 18
- Issue
- 4
- Pages
- 477
- Sources
- openalex crossref